Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0292 |
| Annualized Std Dev | 0.2351 |
| Annualized Sharpe (Rf=0%) | -0.1244 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4420.0000 |
| NAs | 1.0000 |
| Minimum | -0.2368 |
| Quartile 1 | -0.0041 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0047 |
| Maximum | 0.1695 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.9840 |
| Kurtosis | 41.5153 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0141 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.8223 |
| Historical VaR (95%) | -0.0172 |
| Historical ES (95%) | -0.0366 |
| Modified VaR (95%) | -0.0158 |
| Modified ES (95%) | -0.0158 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-02-08 | 2009-03-09 | NA | -0.8223 | 4057 | 1027 | NA |
| 2004-11-15 | 2004-12-16 | 2005-01-14 | -0.0670 | 43 | 23 | 20 |
| 2003-09-17 | 2003-12-18 | 2004-06-15 | -0.0578 | 187 | 66 | 121 |
| 2004-09-13 | 2004-09-17 | 2004-11-09 | -0.0364 | 42 | 5 | 37 |
| 2005-01-19 | 2005-01-25 | 2005-02-07 | -0.0262 | 14 | 5 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | 0 | 0.4 | 0 | -0.9 | 0.2 | -0.4 |
| 2004 | 0.2 | 0.3 | -0.3 | 0.5 | -0.4 | 0.2 | -0.6 | 0.2 | 0.4 | 0.2 | -1 | -0.2 | -0.3 |
| 2005 | -0.1 | 0.1 | -0.3 | 0.4 | 1.2 | 0.9 | 0.3 | -0.3 | 0.1 | 0.7 | 0.1 | 0.2 | 3.3 |
| 2006 | -0.3 | 0.2 | -0.4 | 0.2 | 0 | -0.3 | 0.2 | 1 | 0.2 | 0.7 | 0.2 | 0.6 | 2.4 |
| 2007 | -0.2 | -0.9 | 0.8 | 1 | 0.7 | 0.6 | -3.5 | 1.5 | 0.8 | -0.2 | 1.8 | -0.9 | 1.2 |
| 2008 | 1 | -2.2 | 2.1 | 2 | -0.2 | -0.2 | 0.9 | 0.2 | 4 | -0.6 | -1.5 | -3.1 | 2.2 |
| 2009 | -0.6 | -12.4 | 0.4 | 1.7 | 0.5 | -0.7 | 1.8 | -1.1 | -1.3 | -7.3 | -0.4 | -1.8 | -20.1 |
| 2010 | 0.6 | 0.1 | 1.3 | -3.6 | -1.1 | 1.7 | 0.7 | 0.4 | 0.4 | 0.5 | 0.2 | 0.5 | 1.6 |
| 2011 | 0.5 | 0 | 0.6 | 0.6 | -0.6 | 1.2 | 2.2 | -0.5 | -1 | -2.1 | -0.8 | -0.5 | -0.6 |
| 2012 | 0.9 | 0.7 | 0.3 | 0.5 | -0.8 | 0 | 0.9 | -0.1 | 0.8 | 0.4 | 0.5 | 0.5 | 4.7 |
| 2013 | 0.6 | 0.1 | 0.3 | 0.3 | -2.2 | 0.3 | -2.2 | 0.1 | 0.4 | 0.3 | 0.5 | 0 | -1.5 |
| 2014 | 0 | 0 | -0.3 | -0.3 | 0.5 | -0.5 | 0.5 | 0.3 | 1 | 0 | -1.5 | -1.4 | -1.7 |
| 2015 | -1 | 0.5 | 0.4 | 0.3 | 0 | 0.1 | 0.2 | 0.4 | -0.4 | 0.3 | 0.2 | -1 | 0.1 |
| 2016 | 1.2 | 0.7 | -0.2 | 0.3 | -0.2 | 0.2 | -0.6 | -0.6 | 0.9 | -0.7 | -0.9 | 1 | 1.1 |
| 2017 | 0.3 | 0.3 | 0.2 | 0.3 | 0.8 | -0.2 | -0.3 | 0.4 | -0.2 | -0.2 | 1.7 | 0.4 | 3.6 |
| 2018 | 1 | -0.3 | 0.4 | -0.1 | 0.1 | -0.4 | 0.1 | -0.2 | 0.7 | 1.1 | -0.1 | -0.1 | 2.3 |
| 2019 | -0.1 | -0.1 | 0.3 | 0.6 | -0.3 | 0 | -0.1 | -0.4 | 0.2 | 0.3 | 0.3 | 0.6 | 1.3 |
| 2020 | 0 | -3 | -7.2 | -1.7 | 0.2 | 1.6 | -0.1 | 1.3 | 0.4 | 0.2 | 0.8 | 0.7 | -6.8 |
| 2021 | 0.6 | 1.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
